Maybe there is some misunderstanding about multiple sessions? With the multisession plugin you can run as many Zorros as you want with a single MT4 - there are no special instructions for that. Just do it. Only your idea to drop the Zorro EA to all open charts was bad. That's not mentioned in the manual just because we had not heard of that idea before - but it will be surely added.

Multiple MT4s are needed for very special purposes, such as commercial signal providing, but then you're supposed anyway to know what you're doing.

As to the .trd file, can you upload it? I'll look into it.